May 2023, Week 4

Efficient Nested Deep Hedging

Study proposes nested deep hedging method for derivatives with market frictions using neural networks.

20 May 20239 shares2 citations todaySource ↗

Intelligent Credit Bond Default Forecasting

Intelligent forecasting framework for default risk in China's bond market using ConvLSTM neural network.

20 May 20236 shares1 citation todaySource ↗

Dynamic Risk Measures Budgeting Allocation

Risk budgeting allocation approach developed using dynamic risk contributions and deep learning.

18 May 20235 shares17 citations todaySource ↗

Performance Evaluation of VaR Portfolio Insurance

Study compares VaR-based and constant proportion portfolio insurance strategies in regime-switching framework.

21 May 20234 shares6 citations todaySource ↗

Extreme ATM Skew in Local Volatility Model

Local volatility model with two possible values for volatility analyzed using pricing formulas based on Skew Brownian motion.

18 May 20234 shares1 citation todaySource ↗

VBA Portfolio Creation Software

VBA software component for optimal portfolio creation using two methods demonstrated with real-time series data.

22 May 20234 shares2 citations todaySource ↗

Socially Responsible Investing with Machine Learning

MV model amended to consider ESG scores for socially responsible investing.

21 May 20234 shares4 citations todaySource ↗

Interpolation with Quadratic Local Variance Gamma Model

Piecewise quadratic local variance function formulated for arbitrage-free interpolation of market quotes.

23 May 20233 shares2 citations todaySource ↗

Double Levy Jumps in European Option Pricing

European option pricing formula provided under double Levy jumps model with series solution and numerical experiments.

18 May 20232 shares2 citations todaySource ↗

Effective Factor Learning with Gated Deeper Models

Layer deep neural network proposed for predicting excess returns with improved performance and potential for optimizing investment strategies.

18 May 20232 sharesSource ↗

Credit Card Payments

Consumers tend to pay credit card minimums, but an intervention can increase payments.

19 May 20233 shares8 citations todaySource ↗

Monetary Policy and Volatility

A new model classifies monetary announcements based on their impact on volatility.

20 May 20233 shares1 citation todaySource ↗

Federal Reserve's QE Programs and US Economy

Quantitative easing positively affected US GDP but did not impact inflation.

21 May 20232 shares1 citation todaySource ↗

Leadership and Team Processes in Construction Projects

Transformational leadership has a positive relationship with team processes in construction project teams.

22 May 20232 shares3 citations todaySource ↗

AI Spectator

External tools can help with moral assessment.

19 May 20232 shares1 citation todaySource ↗

EU AI Regulation Preferences

Non-state actors want AI regulation.

19 May 20232 shares39 citations todaySource ↗

Global AI Governance

Research agenda for global governance of AI.

19 May 20232 shares97 citations todaySource ↗

TQM and Organizational Outcomes

Total Quality Management improves organizational performance.

22 May 20232 shares5 citations todaySource ↗

Responsible AI

Risks of AI in manufacturing explored, with focus on responsible and ethical AI.

19 May 20233 shares11 citations todaySource ↗

Deformed MP Distribution for Correlated TS

Study of eigenvalue distribution of Wishart matrix with temporal correlation.

22 May 20232 shares1 citation todaySource ↗

Unimodal Maps with Heteroscedastic Noise

Investigation of mathematical properties of perturbed unimodal smooth maps, with example linked to systemic risk.

22 May 20232 shares2 citations todaySource ↗

Fair Division Algorithms and Incentives

Development of heuristic algorithm for fair division of discrete items, with potential for strategic deviations and proposed strengthening.

19 May 20232 shares6 citations todaySource ↗

ChatGPT's Impact on AI Crypto Assets

New method proposed to compute security prices without third party involvement.

22 May 202317 shares37 citations todaySource ↗

Trustless Price Feeds for Crypto

A new report suggests that the use of blockchain technology in the healthcare industry could save up to $100 billion annually by 2025, through improved data management, reduced fraud, and increased efficiency.

22 May 202311 sharesSource ↗

Ebacktesting

A new backtesting procedure for Expected Shortfall forecasts is proposed using e-values and e-processes.

27 Aug 202295 shares23 citations todaySource ↗

Reinforcement Learning for Interbank Policy

Reinforcement learning is used to analyze the effect of a policy recommendation on an artificial interbank market.

14 Apr 202295 shares6 citations todaySource ↗

Closed-Form Expression for Ratemaking

A surrogate modeling approach is proposed to compute Bayesian credibility premiums for a given model.

12 Nov 202268 shares2 citations todaySource ↗

Deep Reinforcement Trading Analysis

The performance of model-free deep reinforcement learning traders in a market environment with different mean-reverting factors is investigated.

29 Apr 202142 shares7 citations todaySource ↗

Change point detection in dGGMs

A Bayesian model is developed to capture changes in dependence across US industry stock portfolios during COVID-19.

1 Aug 202226 shares2 citations todaySource ↗

Reverse optimization formula

An optimization formula is established for Expected Shortfall and generalized to optimized certainty equivalents.

4 Mar 202221 shares10 citations todaySource ↗

Neural variance reduction for SDEs

Neural SDEs with control variates are proposed to reduce variance in Monte Carlo simulations in finance.

26 Sep 202218 shares5 citations todaySource ↗

Robust incremental learning for tabular data

A robust incremental learning model is presented for regression tasks on temporal tabular datasets.

14 Mar 202316 shares1 citation todaySource ↗

Target Rate Factors

Study on risk associated with uncertainties in central bank monetary policy targets using short interest rate models.

18 May 20238 sharesSource ↗

Empirical Model Supplement

Supplemental material for article on bargaining with equilibrium of fear in French soft drink industry.

19 May 20232 sharesSource ↗

AI Model Comparison

Literature review comparing large generative AI models and smaller parameter models trained on more data, discussing advantages and limitations.

19 May 20232 shares2 citations todaySource ↗

Efficiency of Small Stock Markets in Finland

A study examines the efficiency of the Finnish stock market using the adaptive markets hypothesis and tests the impact of market size and liberalization on efficiency.

19 May 202317 shares1 citation todaySource ↗

Momentum Strategies in India

An analysis of momentum strategies in India finds that concentrated portfolios offer better factor exposure but carry higher idiosyncratic risk and do not outperform on a risk-adjusted basis.

18 May 202311 shares1 citation todaySource ↗

DAO Disruption

A paper evaluates the suitability of decentralized autonomous organizations (DAOs) for different industries, considering regulatory and industry-specific factors.

19 May 20239 shares1 citation todaySource ↗

Greenhouse Gas Aversion and Optimal Portfolios

The introduction of greenhouse gas aversion into the mean-variance portfolio framework offers a new performance measure for GHG-averse investors and discusses an optimal GHGA-based MVP for the energy sector.

19 May 20233 sharesSource ↗

Generative AI Prompting for Financial Analysis

A guide to prompt usage in generative AI for financial analysis emphasizes the importance of prompts, provides tips for effective writing, and highlights common pitfalls to avoid.

20 May 20232 shares20 citations todaySource ↗

Investor Expectations for Net-Zero

Study shows international divergence in energy transition pace and corporate exposure to regulatory risks.

10 May 20234,492 sharesSource ↗

Retail Investor Reaction to Earnings

Novice retail investors' attention-driven trades can cause stock returns to drift upward after earnings announcements.

11 May 20231,318 sharesSource ↗

Fractional Trading with High-Priced Stocks

Fractional trading removes barriers to high-priced stocks and can fuel meme stock-like trading frenzies.

18 Nov 2021738 sharesSource ↗

Currency Network Risk and Volatility

Volatility network strategy generates excess returns by buying net recipients and selling net transmitters of transitory shocks.

4 Nov 2021239 sharesSource ↗

Macro Finance Model for Ethereum

Study of Ethereum's monetary and fee policies shows staking reward factor does not affect market capitalization in dollar terms.

23 Jan 2023195 sharesSource ↗

Statistical Modeling of High-Frequency Trading Data

The paper discusses statistical modeling approaches for analyzing high-frequency trading data.

24 May 202341 sharesSource ↗

Gold as a Zero-Beta Asset

Using gold as a zero-beta asset improves asset pricing models for US equities and industries.

24 May 202329 sharesSource ↗

Binary Regime Models with Jump Discontinuities

A statistical technique for jump detection and volatility estimation in high-frequency data is developed.

24 May 202321 sharesSource ↗

Timing US Sector Funds

Algorithmic trading is extended to study US sector funds and improve their performance.

24 May 202321 sharesSource ↗

Adaptive Portfolio Strategy with User-Specified Risk Tolerance

The simple moving average strategy is improved by incorporating risk tolerance, and a multiasset strategy is proposed and evaluated.

24 May 202320 sharesSource ↗

Portfolio Evaluation

A new approach for evaluating portfolio performance using Euclidean distance is proposed.

24 May 202319 sharesSource ↗

Stock Price Formation

Better-performing agents in a multi-agent stock market simulator learn diverse trading strategies and employ a fundamentalist approach.

24 May 202316 sharesSource ↗

Portfolio Optimization

A Reliability-Based Design Optimization framework is developed for portfolio optimization with efficient portfolios obtained for DAX stocks.

24 May 202314 sharesSource ↗

Timing the Roller Coaster

Algorithmic trading can help small investors outperform the market with a simple moving average crossover approach.

24 May 202314 sharesSource ↗

Contagion Effects of Finance Crisis

The global financial crisis had significant contagion effects on equity markets, disrupting the relationship across financial sectors.

24 May 20237 sharesSource ↗

Forecasting High-Dimensional Portfolios

New methodology for forecasting and portfolio formation in large portfolios of assets introduced, resulting in better investment performance.

24 May 202317 sharesSource ↗

Predicting Stock Market Volatility with Financial Report Tone

Study finds that periods of increased disagreement in financial reports predict higher implied volatility indices of stocks, with implications for financial stability and delegated portfolio management.

24 May 202316 sharesSource ↗

SA Stock Market Volatility Prediction

Newspapers-based macroeconomic attention indexes and news sentiment index improve stock market volatility prediction in South Africa, according to a study using machine learning.

24 May 202320 sharesSource ↗

Bitcoin Price Prediction with Machine Learning

Machine learning techniques can predict Bitcoin prices with varying degrees of accuracy, according to a study.

24 May 202320 sharesSource ↗

Investment Management Model Coordination

A new model and algorithm have been proposed to address non-stationary probabilistic regression, according to a study.

24 May 202312 sharesSource ↗

Improved Gaussian Process Mix Model

A bibliometric analysis found that corporate governance, fraud, and financial performance are primary issues in money laundering and financial and economic performance.

24 May 202312 sharesSource ↗

Money Laundering's Impact on Economic Performance Analysis

The portfolio selection problem can be treated as a two-player game with a focus on sustainable development, according to a study.

24 May 20236 sharesSource ↗

Bermudan Commodity Options Pricing with Neural Networks

Multi-layered neural networks used for option pricing in commodity markets with high accuracy.

24 May 202329 sharesSource ↗

Hybrid Neural Network for High-Frequency Stock Trading

New online time series forecasting method for high-frequency trading using deep learning models.

24 May 202321 sharesSource ↗

Multi-Population Mortality Modelling with Neural Networks

Neural network model proposed for large-scale mortality modelling and forecasting with fewer parameters and improved accuracy.

24 May 20237 sharesSource ↗

Smart Beta ETFs

Study finds only two sub-categories of smart beta ETFs outperform traditional cap-weighted market indices.

2 Jun 202138 sharesSource ↗

Optimal Diversification

Paper analyzes optimal number of stocks in diversified portfolios during market turmoil.

8 Apr 202132 sharesSource ↗

Shrinkage Estimator for Portfolios

Study proposes shrinkage estimator for portfolio selection, outperforming traditional methods.

5 Jul 202225 sharesSource ↗

NonNormal Risk Measures

Paper examines statistical properties of risk measures in non-normal distribution for risk management.

3 May 202123 sharesSource ↗

Transfer Learning for Selection

Study explores knowledge transfer problem between artificially generated and existing benchmark problems in numerical optimization.

26 Feb 202220 sharesSource ↗

Predicting Fund Survival with Neural Networks

Neural networks predict mutual fund survival with 87% accuracy.

28 Jan 202120 sharesSource ↗

Beta Anomaly in SA Markets

Beta anomaly disappears in South African stock market after controlling for factors.

22 May 202223 sharesSource ↗

Algorithm for Portfolio Optimization

Algorithm for active business management can increase income in animal husbandry.

3 Jan 202219 sharesSource ↗

Company Fundamentals and Equity Premiums in Pakistan

Company fundamentals affect equity premiums in Pakistan stock market.

21 May 202119 sharesSource ↗

Modeling Recovery Rates of US Banks

Unified recovery rate analysis can improve modeling for US banks.

27 Mar 202119 sharesSource ↗

Scaling Speech Tech to 1000 Languages

Speech technology can improve access to information with expanded language coverage.

23 May 202324,112 shares

Sparks of AGI with GPT4

GPT4 is a new AI model with more general intelligence.

19 May 20236,473 shares

EasySpider: NoCode Visual System for Web Crawling

NoCode Visual System for Web Crawling: Webcrawling is crucial for research.

21 May 20234,066 shares

CodeT5: Open Code Large Language Models for Code Gen

Open Code Large Language Models for Code Gen: CodeT5 is a family of LLMs for code that can be combined for various tasks.

18 May 20231,132 shares

SoundStorm

SoundStorm model for audio generation.

21 May 2023170 shares

SpeechGPT

Multimodal language models important for AGI, ChatGPT popular.

21 May 2023117 shares

ONEPEACE

Building scalable representation model for multiple modalities.

21 May 202387 shares

Tree of Thoughts

Language models limited to token-level decision making.

22 May 202382 shares

EconML

ALICE uses AI for causal inference in economics.

30 Apr 20182,946 shares

Quant Finance with Python

ALICE Python SDK has ML algorithms for causal effect measurement.

9 Feb 2020625 shares

Pyalgotrading

+ Python programs for quantitative finance.

1 May 2020150 shares

FEDOT

AlgoBulls has a Python package for Algorithmic Trading APIs.

13 Jan 2020526 shares

Fairlearn

FEDOT is an automated modeling and ML framework.

15 May 20181,569 shares

Language Model Control Guide

Guidelines for controlling large language models.

10 Nov 20226,407 shares

Market Makers for Exchanges

Framework for decentralized exchanges.

30 Nov 2017452 shares

Dai Auction Keeper

Keeper for multicollateral Dai auctions.

16 May 2018120 shares

Gaussian Process Optimization in Python

Python implementation for global optimization.

6 Jun 20146,784 shares

Python Mastery in 100 Days

Python learning guide for beginners to experts.

1 Mar 2018136,016 shares

Solving Securities Finance Function

Securities Finance Times on importance of finance function.

19 May 20236 shares

Maitri Capital's $250M Quant Fund Launch

Maitri Capital launching $250M quant fund.

19 May 20234 shares

NonFinance Citadel Internship

Citadel hires interns from diverse backgrounds.

22 May 20232 shares

Tim Lincoln's Quant Rules

Rask Media on importance of PhD-level quant rules in finance.

24 May 20232 shares

Ackman's Fund Sells at Discount

Pershing Square Holdings trades at a discount.

24 May 20231 shares

Killer Question: Candies vs Stickers

Candies vs Stickers: Article lists challenging brainteasers for quant interviews.

19 May 20231 shares

JPMorgan Cuts Tech Costs, Hires Data Scientists

JPMorgan has a standout in asset management.

22 May 20231 shares

Top 0 Financial Engineering Courses by Pay

Some courses offer high employment and salaries.

24 May 20231 shares

Public College Outperforms Princeton in Quant Salaries

New MFE course is top in the field.

22 May 20231 shares

Research Portfolio Building and Risk Management with Jonah Lupton

Podcast with Jonah Lupton on finance, trading, and health.

19 May 202317 shares

ReThinking Financial Planning with Roni Israelov

Interview with Roni Israelov on global asset risk models and portfolio optimization.

22 May 202314 shares

Beware a False Market Breakout by Mike Wilson

Market update from Mike Wilson on bullish market narrative and earnings concerns.

22 May 20235 shares

Discovering Financial Freedom with Stock Mom

Interview with Stock Mom on trading journey and advice.

22 May 20235 shares

Robyn Grew on Portfolios

Bloomberg Radio host interviews CEO of Man Group.

19 May 20234 shares

Debt Ceiling, FAANGs, and Football

Podcast covers short-term Treasuries, US tech stocks, and China's property sector.

23 May 20233 shares

Peak Passive Debate with John Authers and Michael Gayed

John Authers interviews Michael Gayed on the Peak Passive Debate.

22 May 20233 shares

Dr Phil Pearlman on Trader Wellness

Confessions of a Market Maker podcast talks about the importance of health and wellness for traders.

23 May 20233 shares

Psychopathological Safety in AGI

Vahid Behzadan discusses safety concerns with AGI emergence.

23 May 20232 shares

ETF Comovement Effect

ETF flows can predict daily performance.

23 May 202310 shares

FX Trend Following with Macro Headwinds

Stock sensitivity to ETF arbitrage can be used for equity factor trading.

20 May 20232 shares

Index Fund Reimagining

FX trend following affected by macro headwinds.

19 May 20232 shares

Quant Earnings in Financial Markets

Global financial markets facing challenges from COVID-19 and Ukraine conflict.

18 May 20232 shares

Predicting Stock Returns

Indicator introduced in 2013 to forecast long-term U.S. stock market returns.

22 May 20231 shares

Exploring Momentum in Markets

Unclear summary for slice dice shake and bake article.

21 May 20230 shares

Credit Cards: Pros and Cons

Pros and Cons: Credit cards can be good or bad.

21 May 202316 shares

Eliot from Jane Street Trading

Introduction to Eliot from Jane Street NY.

23 May 202325 shares

Nicole from Jane Street Trading

Introduction to Nicole from Jane Street London.

23 May 2023156 shares

Rachel from Jane Street Trading Desk

Introduction to Rachel from Jane Street London.

23 May 202383 shares

Ian from Jane Street Software Engineering

Introduction to Ian from Jane Street London.

23 May 2023226 shares

Nonparametric Estimators for Volatility

Nonparametric estimators of volatility and leverage effect proposed using short-dated options.

18 May 20236 shares

FX Trend Following

FX trend following benefits from adjusting for external balances.

20 May 20233 shares

Statistical Models for Market Behavior

Statistical models identify different types of trading strategies.

19 May 20233 shares

Economic Trend and Asset Prices

Economic trend capitalizes on macro information's impact on asset prices.

22 May 20232 shares

Fintech Trends: MA and Partnerships

MA and Partnerships: Fintech sectors likely to see deal activity include open banking, neobanks, regtech, paytechs, and currency providers.

21 May 20231 shares

AI Camera: Ring Project

Ring Project: Carl Carrie creates wearable camera for AI.

18 May 20230 shares

AI Risk Management for CISOs

CISOs must address AI risks across tech and product organizations.

23 May 20230 shares

Diverse Currency Carry Investment

Currency carry, momentum, and value as diversifiers for forex investors.

23 May 20230 shares

AIs Impact on SaaS

AI is disrupting SaaS, but where are the moats?

21 May 20230 shares

ChatGPT: Ethical Comedy

Ethical Comedy: ChatGPT discusses ethics and comedy.

22 May 20230 shares

Quant Trader vs Quant Research Interviews

22 May 202321 shares

Masters in Quant Finance vs 2nd Degree in Statistics

19 May 20235 shares

Exos Financial: Culture, Management, and Work-Life Balance

18 May 20239 shares

CQF for New Grads in Quant Finance?

18 May 20232 shares

Weather Derivatives: Pros and Cons

19 May 202332 shares

Starting with Automated Trading Strategies

22 May 202316 shares

From Corporate Credit Modelling to Quant Research

20 May 202312 shares

Understanding TGS Management

18 May 202348 shares

Historical DOM Data for Algorithmic Trading

19 May 202325 shares